Firm-specific Information Processing and the Delayed Discovery of Macroeconomic News: Evidence from Earnings Announcement Returns
研究发现，在盈余公告日，市场整体回报与公告企业随后三天的异常回报正相关，且这种延迟在极端盈余意外时更明显，表明投资者处理企业信息会挤占对宏观新闻的注意力。
Abstract Analyzing a panel of earnings announcers from 1998–2022, we document that the aggregate market return on quarterly earnings announcement dates is positively associated with the announcing firm’s subsequent three-day abnormal returns. This phenomenon is strongest for firms with extreme earnings surprises and dissipates by day seven, indicating a short-lived delay in incorporating the aggregate news. We also document a sluggish return response to same-day macro news disclosures, especially when earnings surprises are extreme. Effects strengthen when investors exert more effort in acquiring announcing firm information, measured by SEC EDGAR filing downloads, when macronews has a larger impact on a firm’s stock returns, when firms are smaller, and when investors’ attention and processing capacity are more constrained, proxied by retail trading. Overall, the findings support the notion that investors have finite information processing capacity and that intensive efforts to acquire firm earnings news delay the incorporation of macroeconomic news into prices.